It may hurt, but you'd have to measure to be sure. That said, I'd really expect a 50% VWAP order at IBKR to effectively cap at something closer to 25% of total market volume since their algos don't appear to include off-exchange TRF-reported volume from my experience using their algos which I describe in this thread. Namely:
All that being said, my use of POV orders is more of a marriage of convenience than anything else. There are several things I do not like about IBKR’s POV algos.
- They only participate in IBKR’s ATS (dark pool). Roughly 40-45% of US trading is off-exchange, typically on various brokers’ dark pools, but the IBKR ATS is only ~2% of that off-exchange volume. These are aggregate market statistics of course, but you’re missing out on a lot of liquidity.
- They do not participate in opening or closing auctions, which can be about 10% of volume. I haven’t checked but I would expect their VWAP orders to participate.
- Even with attempt to never take liquidity set as an option, they don’t seem to do a great job of getting passive fills.
- IBKR exposes an “attempt to match block trading volume option” which p123 does not support. It doesn’t appear to be documented anywhere, but presumably the default behavior is to not follow off-exchange trading volume reported to the TRF, which means the POV order is potentially tracking the 55-60% of lit volume, which leads to…
- POV orders feel slow to fill. My executed volume is sometimes well under my target percentage of market volume.
I do plan to explore other execution options, though it’s not my lowest hanging fruit at the moment. Fox River has had a very good reputation for execution, so they’re at the top of my list to try.